If you make your own code changes you'll need a EPROM
Eraser/Programmer so that you can try them out in your game.
Separate your ROM files into individual ROMs using the tips in Working
with ROM Files.
Remember that you'll only need to reprogram the EPROMs that you've
changed. If you're clever about your hacks you can keep the
number of EPROMs that you need to reprogram to a minimum.
Watch the checksum window in MAME or do a quick file compare to see
which ROMs have changed and which have stayed the same.
Always make sure to test your
code changes on MAME first. This will save you time from
erasing and reprogramming every time you make a change. But
remember, even though your changes may work great on MAME, they
may behave differently in the actual game.
Check out Needham's for a decent selection of EPROM Programmers or
you can check out the services of www.hobbyroms.com.